I am working on testing a new strategy by using a number of replays from prior days. Thus far, that process seems to be going fairly well, however, today I had an experiece that has me wanting to probe a bit deeper into how replay and Sim work.
Here is what happenned. I ran this new strategy today in Sim. The settings included:
Enforce Immediate Fills
Delay Comms (30ms)
Delay Exchange (150ms)
Apply Commissions to P&L
After the day was over, I just re-ran the same day (today) again in replay.
I started the replay at the same time with the same settings and same contracts, etc. The end results were 1000 / contract higher than the SIM results.
What could account for this difference?
If replay is running from the same data that was recorded when runnning Sim and Enforce Immediate Fills was checked in both instances, I don't see why there would be a significant difference between the two results.
Thanks for your help in clarifying my understanding of how these two testing features run.
Gratefully,
Learning1
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